This is very true and a concern. You have to weigh the good and the bad doing it this way. I have had them do what I called a "water change" on the bag and add new oxygen to it, but I seem to remember something about opening a bag that was shipped for so long and the ammonia in the bag turning really toxic when the fresh air hits it? I can't remember exactly, but for me, I live about 15 minutes from the LFS and their holding tanks arn't the most trustworthy, so for sensitive fish like my two tangs.... I picked them up the minute they got to the store.
Its going to drive me crazy trying to remember where I heard that about ammonia and fresh oxygen when opening a bag that's been shipped with fish..... anybody know what I"m talking about?